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Sophron® Reading List November 2026 Five books

Here Are the Books a Quant Recommends

Ever wondered what to read if you are a quant, or want to become one? We asked Callum Makkai, an independent quantitative trader, which books shaped how he trades. He sent five, from a map of where returns come from to a trading classic first published in 1935.

Picks by Callum Makkai, Independent Quant Trader.

The five books Callum Makkai recommends, fanned out on a burgundy background

About Callum Makkai

Callum Makkai
Callum Makkai Independent Quant Trader
LinkedIn

Callum Makkai studied maths and computer science long before quant finance was a field of its own, then taught himself markets by reading hundreds of books.

So when we asked which ones he would hand to someone starting out, he had a clear test for what makes the list.

"My definition of a good book is one that I keep in order to read a second time or use as a reference."
How this list came about: it was a swap. Callum sent us his five over LinkedIn, and we sent five back.

The five picks

Expected Returns by Antti Ilmanen
Pick 1 of 5

Expected Returns

Antti Ilmanen · 2011

A map of where investment returns come from: value, carry, momentum, volatility and the premia behind them, tested across stocks, bonds, currencies and commodities. A reference to keep on the desk.

Also on The Sophron® Network. Luciano França recommended it too, in Is Brazil a Hidden Gem for Quants?
Systematic Trading by Robert Carver
Pick 2 of 5

Systematic Trading

Robert Carver · 2015

A practical guide to building rule-based trading systems, by a former portfolio manager at Man AHL. It spends real time on how big each position should be, a part many traders skip.

Also on The Sophron® Network. Robert Carver was a guest himself: From Managing $5B to Trading 5 Minutes a Month
Efficiently Inefficient by Lasse Heje Pedersen
Pick 3 of 5

Efficiently Inefficient

Lasse Heje Pedersen · 2015

How hedge funds make money, strategy by strategy: equity long/short, macro, arbitrage. Each part ends with an interview with someone who runs that strategy, from Cliff Asness to George Soros.

Trading Risk by Kenneth L. Grant
Pick 4 of 5

Trading Risk

Kenneth L. Grant · 2004

Risk management written for traders, not for compliance. Grant worked as a risk manager next to portfolio managers, and shows how sizing, limits and regular reviews feed straight into results.

The Battle for Investment Survival by Gerald M. Loeb
Pick 5 of 5

The Battle for Investment Survival

Gerald M. Loeb · 1935

A trading classic from a Wall Street broker who lived through 1929: plain advice on protecting capital, cutting losses and waiting for the right moment. Not a quant book, as Callum points out.

"A non-quant, classic trading book in the same category as Lefevre's Reminiscences."
In the Knowledge Library. Reminiscences of a Stock Operator is on the shelf of books our podcast guests recommend: sophron.network/library

Further reading